Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
复制标题
DOI：
10.1016/j.insmatheco.2008.08.001
复制
发表时间：
2009-04-01
影响因子：
1.9
通讯作者：
Wuethrich, Mario V.
中科院分区：
文献类型：
--
作者：
Embrechts, Paul;Neslehova, Johanna;Wuethrich, Mario V.
主要由于银行和保险的新资本充足率标准，人们对风险度量（如风险价值（VaR））的聚合性质的兴趣有所增加。我们展示了VaR如何根据基础模型的性质从次可加性变为超可加性。主要是，从有限均值模型到无限均值模型的转变会产生完全不同的渐近行为。我们的主要结果证明了Barbe等人[Barbe, P., Fougeres, A.L., Genest, C., 2006. 关于相关风险之和的尾部行为。《ASTIN公报》36(2), 361 - 374]提出的一个猜想。© 2008 Elsevier B.V. 保留所有权利。
Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the switch from a finite to an infinite mean model gives a completely different asymptotic behaviour. Our main result proves a conjecture made in Barbe et al. [Barbe, P., Fougeres, A.L., Genest, C., 2006. On the tail behavior of sums of dependent risks. ASTIN Bull. 36(2), 361-374]. (C) 2008 Elsevier B.V. All rights reserved.